A Flexible Parametric GARCH Model with an Application to Exchange Rates
Posted: 6 Mar 2001
Asset price fluctuations commonly exhibit volatility clustering, asymmetry, leptokurtosis and high peakedness. Yet econometricians lack parametric methods flexible enough to accommodate all these effects. This paper introduces a GARCH model with a flexible parametric error distribution based on the exponential generalized beta (EGB) family. We apply this to daily exchange rate data for six major currencies and find this model outperforms alternative approaches.
Note: This is a description of the paper and is not the actual abstract.
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